108 高成工數教室工程機率與統計 第三章作業 p.

3-1

1. Let X be a random variable, where E{ X }  40 and VAR{ X }  20 . Let

Y  aX  b , where a and b are two constants to be designed such that
E{Y }  60 and VAR{Y }  5 . Find a and b.

2. Let X be a random integer from the set {1,2,3,..., N } . Which of the

statements below is (are) TRUE?
(A) E ( X )  N / 2 (B) E ( X )  ( N  1) / 2 (C) Var ( X )  N 2 / 4
(D) Var ( X )  ( N  1) / 4
2
(E) None of the above

3. A machine is erratic. When you push the button, one of three things
happens. 60% of the time it goes into mode A and is done in 5 minutes.
30% of the time it goes into mode B, buzzes for 2 minutes, but produces
nothing, so that you have to try again.
10% of the time it goes into mode C, buzzes uselessly for 3 minutes, after
which time you must try again.
Find the expected amount of time it takes to get done.
Hint : 無窮迴圈問題(畫樹狀圖→找相同觀念節點分析)

4. 配對問題(機率版 CH2 與期望值版 CH3)

An absent-minded professor wrote n letters and sealed them in envelopes
before writing any address. The he wrote the n addresses on the envelopes
at random.
(a) What is the probability that at least one letter was addressed correctly?
(b) If n   , what is the probability that at least one letter was addressed
correctly?
(c) Find the expected value of the numbers of the letter was addressed
correctly?
(d) Find the variance value of the numbers of the letter was addressed
correctly?
Hint : (a)(b)排容定理 ie let Ai denote the event of the ith letter was
addressed correctly.
(c)(d)指標法 i.e. let X i =1 denote the ith letter was addressed
correctly & X i =1 , else.

5. (a) Assume that discrete r.v. X has a moment generating function given by
1 1 1 3
M X (t )  e  2t  e  t  et  e 2t .
6 3 8 8
Please find Pr(| X | 1) , E[ X ] , Var ( X )
(b) A random variable X has the Poisson distribution p( x;  )  e    x / x! for
x  0,1,2,...
108 高成工數教室工程機率與統計 第三章作業 p.3-2

(1) Please derive the moment-generating function of X.

(2) Please use the moment-generating function in (1) to find the mean and
the variance of X. Hint: 令 K (t )  ln{M X (t )}  ? 求  ,  2

6. Let X be a random variable with probability distribution function given by

1
f ( x)  e | x|
2
(a) P (| X | u )  ?
(b) The MGF of X is M X (t )  E[etX ]  ? , and the condition on t for
convergence of M X (t )
(c) Using the result of (b) to find E[ X ]  ? Var ( X )  ?
Hint：一定要用 MGF 來求喔～(令 K (t )  ln{M X (t )}  ? 求  ,  2 )

7. Consider two discrete random variables X and. The random variable X has
0.4, x  1,
probability mass function P( X  x)  
0.6, x  1.
The conditional probability mass function of Y given X is given by:
0.5, y2 0.2, y2
 
P (Y  y | X  1)  0.4, y  0 , P(Y  y | X  1)  0.3, y0
0.1, y  2 0.5, y  2
 
(a) Find the marginal probability distribution function of Y.
(b) Find E[ XY ] . Are X and Y uncorrelated? Please explain your reason.
(c) Are X and Y statistically independent?
(c) Find the probability P( X  1 | Y  0) .

8. If  is a random variable from the interval [0,2 ] , then prove that the
dependent variables X  sin  and Y  cos  are uncorrelated.

 x  y, 0  x  1, 0  y  1;
9. Given the joint pdf of r.v’s X , Y is f XY ( x, y )  
0, otherwise.
(a) Are X and Y independent?
(b) Derive the correlation ocefficient  ( X , Y )  ?
(c) Derive E[ X | Y  y ] .

10. Assume that a random X satisfies

E[ X ]  0 , E[ X 2 ]  1 , E[ X 3 ]  0 , E[ X 4 ]  3 , and let Y  1  X  X 2 .
Which of the following is the correlation coefficient  ( X , Y ) ?

11. For two random variables X and Y, if the covariance Cov ( X , Y )  0 , please
express the correlation coefficient  ( X  Y , X  Y ) in terms of Var ( X )
and Var (Y ) .
 108 高成工數教室工程機率與統計 第三章作業 p.3-3

e y
12. The joint density of X and Y is given by f ( x, y )  0 x y ,
y
0  y   . Compute E[ X 3 | Y  y ] .

◎◎13. The time between the arrival of messages on your Facebook is a random
variable X with the pdf f ( x)   e   x ; x  0 and with a mean of three
hours.
(a) What is the probability that you do not receive a message during
three-hour period?
(b) If you have not had a message in the last 3.5 hours, what is the
probability that you do not receive a message in the next 3 hours?
(Thinking : what is the relationship the answer between (a) and (b)?)
(c) What is the expected time between you fifth and sixth message.

參考解答

1 1 1 1 1
1. (a, b)  ( , 40); ( ,80) 2. (E) 3. 6.5 (min) 4. (a) 1      (1) n 1
2 2 2! 3! n!
t
(b) 1  e 1 (c) 1 (d) 1 5. (a) 0.4583, 0.2083, 2.5816 (b) (1) e  ( e 1)

1
(2)  ,  6. (a) 1  e u (b) ; 1  t  1 (c) 0, 2 7.(a) PY (2)  0.34
1 t2

PY (0)  0.34 , PY (2)  0.32 (b) is not uncorrelated (c) in not independent

1 1 1 1 
(d) 0.4706 8. 略 9. (a) 不獨立 (b) (c)  y ;0  y  1
11 1  y  3 2 
2
1 Var ( X )  Var (Y ) 1 3
10. 11. 12. y ;0  y  
3 Var ( X )  Var (Y ) 4

◎◎13. (a) e 1 (b) e 1 (c) 3 (hours)